Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory

Author:

Berleant D.,Andrieu L.,Argaud J.-P.,Barjon F.,Cheong M.-P.,Dancre M.,Sheble G.,Teoh C.-C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Artificial Intelligence,Theoretical Computer Science,Software

Reference15 articles.

1. Joint propagation of probability and possibility in risk analysis;Baudrit;International Journal of Approximate Reasoning,2007

2. Information-Gap Decision Theory;Ben-Haim,2006

3. D. Berleant, M. Dancre, J.-P. Argaud, G. Sheble, Electric company portfolio optimization under interval stochastic dominance constraints, in: Proceedings of the Fourth International Symposium On Imprecise Probabilities and Their Applications (ISIPTA’05), Carnegie Mellon University, Pittsburgh, July 20–23, 2005, pp. 51–57. www.sipta.org/isipta05/proceedings.

4. Investments;Bodie,1999

5. F.D. Chabi-Yo, Stochastic discount factor volatility, bound and portfolio selection under higher moments, 44e Congrés annuel de la Société canadienne de science économique, May 5–6, 2004, Quebec, www.scse.ca/scse/congres2004.

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